Add a program to the Right Click Menu

HKEY_CLASSES_ROOT\Folder\shell.

Add a new Key to the "Shell" Key and name it anything you like. Give it a default value that will appear when you right click a folder, i.e. NewKey (use an "&" without the quotes, in front of any character and it will allow you to use the keyboard).
Navigate and click on the registry key

HKEY_CLASSES_ROOT\Folder\shell\NewKey.
Now you have to add a New Key named Command and Set the (Default) value of the application you want to run. For example:

c:\program files\internet explorer\iexplore.exe
(Include the full path)